Strategy VS Buy & Hold

2019年11月18日

SUMMARY:
A strategy wrapper that makes a detailed and visual comparison between a given strategy and the buy & hold returns of the traded security.


DESCRIPTION:
TradingView has a "Buy & Hold Return" metric in the strategy tester that is often enough to assess how our strategy compares to a simple buy hold. However, one may want more information on how and when your strategy beats or is beaten by a simple buy & hold strategy. This script aims to show such detail by providing a more comprehensive metrics and charting the profit/loss of the given strategy against buy & hold.

As seen in the script, it plots/draws 4 elements:

1) Strategy P/L: strategy net profit + strategy open profit
2) Buy & Hold P/L: unrealized return
3) Difference: Strategy P/L - Buy & Hold P/L
4) Strategy vs Buy Hold Stats
> Percent of bars strategy P/L is above Buy & Hold
> Percent of bars strategy P/L is below Buy & Hold
> All Time Average Difference


ADJUSTABLE PARAMETERS:
All labels/panels can be disabled by unchecking these two options:
>bnh_info_panel = input(true, title='Enable Info Panel')
>bnh_indicator_panel = input(true, title='Enable Indicator Panel')

Comparison Date Range can be changed to better isolate specific areas:
>From Year, From Month, From Day
default: 1970 01 01

>To Year, To Month, To Day
default: 2050 12 31

Default settings basically covers all historical data.


HOW TO USE:

The default script contains a simple 50-200 SMA cross strategy, just delete and replace it. Those are everything between these lines:
/////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////STRATEGY SCRIPT START//////////////////////////////////

(STRATEGY SCRIPT GOES HERE)

//////////////////////////////STRATEGY SCRIPT END////////////////////////////////////
/////////////////////////////////////////////////////////////////////////////////////

Removing all plots and drawings from your strategy is advisable.

If you are going to use the Comparison Date Range, apply "bnh_timeCond" to your strategy to align the dates. A sample on how it’s applied can be seen on the Placeholder MA cross strategy.
Note: bnh_timeCond returns a boolean series

2023年12月6日

發行說明

-Updated to Pine v5.